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Pricing derivatives using Gram-Charlier Expansions

In this thesis, we provide several applications of Gram-Charlier expansions in derivative
pricing. We first give an exposition on how to calculate swaption prices under the
the CIR2 model. Then we extend this method to CIR2++ model. We also develop a
procedure to calculate European call options under Heston’s model of stochastic volatility
by Gram-Charlier Expansions.

Identiferoai:union.ndltd.org:WATERLOO/oai:uwspace.uwaterloo.ca:10012/7413
Date09 April 2013
CreatorsCheng, Yin-Hei
Source SetsUniversity of Waterloo Electronic Theses Repository
LanguageEnglish
Detected LanguageEnglish
TypeThesis or Dissertation

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